Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1979 |
| Annualized Std Dev | 0.2616 |
| Annualized Sharpe (Rf=0%) | 0.7565 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3144.0000 |
| NAs | 1.0000 |
| Minimum | -0.1220 |
| Quartile 1 | -0.0067 |
| Median | 0.0017 |
| Arithmetic Mean | 0.0009 |
| Geometric Mean | 0.0007 |
| Quartile 3 | 0.0095 |
| Maximum | 0.1498 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | 0.0003 |
| UCL Mean (0.95) | 0.0014 |
| Variance | 0.0003 |
| Stdev | 0.0165 |
| Skewness | -0.2292 |
| Kurtosis | 8.0749 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0121 |
| Gain Deviation | 0.0110 |
| Loss Deviation | 0.0128 |
| Downside Deviation (MAR=210%) | 0.0162 |
| Downside Deviation (Rf=0%) | 0.0117 |
| Downside Deviation (0%) | 0.0117 |
| Maximum Drawdown | 0.5858 |
| Historical VaR (95%) | -0.0260 |
| Historical ES (95%) | -0.0394 |
| Modified VaR (95%) | -0.0246 |
| Modified ES (95%) | -0.0433 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-06-18 | 2008-11-21 | 2009-11-16 | -0.5858 | 289 | 79 | 210 |
| 2018-06-21 | 2018-12-24 | 2020-01-08 | -0.2990 | 390 | 129 | 261 |
| 2020-02-20 | 2020-03-16 | 2020-05-18 | -0.2886 | 62 | 18 | 44 |
| 2011-05-02 | 2011-10-03 | 2012-03-26 | -0.2608 | 228 | 108 | 120 |
| 2015-12-07 | 2016-02-09 | 2016-08-09 | -0.2418 | 170 | 44 | 126 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | NA | -0.2 | -0.5 | 0 | -1.2 | -9 | -6 | 3.2 | -13.5 |
| 2009 | 0.7 | 3.8 | 1.2 | -0.1 | 2.3 | 0.8 | -0.3 | -0.6 | -3 | -2.7 | 2.3 | -0.8 | 3.4 |
| 2010 | 0.7 | 2.6 | -0.3 | -2.5 | -1.6 | -0.2 | 0.3 | 3.7 | -1 | -1.6 | 1.4 | -0.7 | 0.6 |
| 2011 | 2.4 | -1.7 | 0.7 | 0.5 | -1.5 | 1.9 | -0.6 | -1.4 | -1.8 | -3.1 | 1 | -0.2 | -3.8 |
| 2012 | 0.9 | 1.2 | 0 | 0.2 | -3.1 | 3.5 | -0.6 | 0.5 | -0.5 | 1.6 | -0.6 | 1.8 | 4.9 |
| 2013 | 1 | 0.5 | -0.6 | -0.6 | -0.4 | 0.7 | 2.1 | -1.5 | 2.1 | 0.5 | 0.7 | 1.4 | 6 |
| 2014 | -0.8 | -0.6 | 2.9 | 1.7 | -1 | 1.8 | -0.9 | 0.5 | -2 | 2.6 | -2.3 | -0.7 | 1.2 |
| 2015 | 0.5 | -0.7 | -0.7 | 0.5 | 0.7 | -0.2 | 0 | -3.1 | 0.2 | 1.3 | 1.2 | -0.9 | -1.2 |
| 2016 | 0.6 | 2.3 | 0.5 | 1.5 | -0.4 | 0.8 | 0.9 | 0.8 | 0.3 | -1.2 | -2.4 | -1 | 2.5 |
| 2017 | 0.2 | 1 | -0.2 | 1.5 | 1 | 0 | -0.2 | 0.1 | 0.9 | 0.1 | -0.7 | -0.8 | 2.9 |
| 2018 | 0.2 | -1.2 | 2.1 | 0.2 | 1.7 | -0.1 | -0.1 | 0 | -0.6 | 2.6 | 0.8 | 0.3 | 6.1 |
| 2019 | -0.3 | 0.5 | 1.6 | -0.3 | -1.4 | 1.5 | -1.1 | 0 | -0.6 | -0.1 | -0.5 | 0 | -0.6 |
| 2020 | -1.3 | -0.4 | -3.8 | -3.2 | 1.3 | 2.5 | 1 | 3.9 | 2.1 | -3.5 | -0.4 | -0.7 | -2.8 |
| 2021 | 3.1 | 3 | 1.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 7.4 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-06-13 24.5 SPY 136. 1.26e-2 -0.001 -0.0328 0.0505 -0.109 0.129 0.353 GLD 85.8 0.0027 -0.0363
2 2008-06-16 24.9 SPY 136. 6.00e-4 -0.00290 -0.0442 0.0618 -0.11 0.127 0.368 GLD 87.0 0.0137 -0.0111
3 2008-06-17 25.0 SPY 136. -4.80e-3 -0.0027 -0.0497 0.0145 -0.113 0.120 0.334 GLD 87.2 0.0028 0.0199
4 2008-06-18 24.7 SPY 134. -9.70e-3 0.0023 -0.0615 0.0302 -0.124 0.106 0.321 GLD 88.3 0.0118 0.0145
5 2008-06-19 25.0 SPY 134. 1.30e-3 -0.0002 -0.0526 0.0177 -0.111 0.108 0.323 GLD 88.4 0.0016 0.0329
6 2008-06-20 24.2 SPY 132. -1.61e-2 -0.0287 -0.0519 -0.0183 -0.130 0.0894 0.322 GLD 89.0 0.006 0.0364
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
